Catastrophe bond pricing for the two-factor Vasicek interest rate model with automatized fuzzy decision making

An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model

Valuation for an American Continuous-Installment Put Option on Bond under Vasicek Interest Rate Model

The valuation for an American continuous-installment put option on zero-coupon bond is considered by Kim’s equations under a single factor model of the short-term interest rate, which follows the famous Vasicek model. In term of the price of this option, integral representations of both the optimal stopping and exercise boundaries are derived. A numerical method is used to approximate the optim...

Multifactor Interest Rate Dynamics and Their Implications for Bond Pricing

This paper studies the importance of the most commonly used factors in models of the term structure and contingent claims prices, as well as the importance of one seldom used factor. To this end, the paper develops a continuous-time, four-factor model of the term structure. The factors include the instantaneous interest rate, its volatility, its long-run mean, and a factor that is \independent"...

Automatized Decision Making for Autonomous Agents

Utility theory and the principle of maximising the expected utility have, within the multi-agent community, had a great influence on multi-agent based decision. Even though this principle is often useful when evaluating a decision situation it is virtually impossible, except in very artificial situations, to use the more basic decision rules with its unrealistically strong requirements for the ...

A Two-Factor Model for Low Interest Rate Regimes

This paper derives a two factor model for the term structure of interest rates that segments the yield curve in a natural way. The first factor involves modelling a non-negative short rate process that primarily determines the early part of the yield curve and is obtained as a truncated Gaussian short rate. The second factor mainly influences the later part of the yield curve via the market ind...